Hello everyone,

I am trying to run a 2 step fama macbeth regression for financial data, for which this thread (https://www.statalist.org/forums/for...eth-regression) has been very useful. I have 170 time periods for the classic excess returns (LHS variable) and on the RHS I have the classic fama french 3 factors and an added crisis variable for 30 equity indices that I treat as stocks. If I understood the process correctly from the aforementioned post, I would have 170 regressions with 30 observations each. Is that correct?

Additionally, I would like the formation period for the betas to be of 12 time periods, but when I use the classic assreg, fmb command, I do not see how to specify the formation period for the betas. Is there a way to do this?

Thanks and kind regards,

Juana